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Eukaryotic microalgae hold great promise for the bioproduction of fuels and higher value chemicals. However, compared with model genetic organisms such as Escherichia coli and Saccharomyces cerevisiae, characterization of the complex biology and biochemistry of algae and strain improvement has been hampered by the inefficient genetic tools. To date, many algal species are transformable only via particle bombardment, and the introduced DNA is integrated randomly into the nuclear genome. Here we describe the first nuclear episomal vector for diatoms and a plasmid delivery method via conjugation from Escherichia coli to the diatoms Phaeodactylum tricornutum and Thalassiosira pseudonana. We identify a yeast-derived sequence that enables stable episome replication in these diatoms even in the absence of antibiotic selection and show that episomes are maintained as closed circles at copy number equivalent to native chromosomes. This highly efficient genetic system facilitates high-throughput functional characterization of algal genes and accelerates molecular phytoplankton research.